<p>
	This tutorial implements a strategy that standardizes the unexpected earnings of stocks and trades the top 5% of those standardized stocks. It is written based on a paper published in The Accounting Review by Foster, Olsen, and Shevlin (1984). Our implementation narrows down our universe to 1000 liquid assets based on daily trading volume and price, and the availability of fundamental data on the stocks in our data library. We calculate the unexpected earnings at the beginning of each month, standardize the unexpected earnings, go long on the top 5%, and rebalance the portfolio monthly. We observed a Sharpe ratio of 0.83 relative to SPY Sharpe of 0.88 using this implementation during the period of December 1, 2009 to September 1, 2019 in backtesting.
</p>